Stochastic linear quadratic Stackelberg differential game with overlapping information
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maximum principleoverlapping informationStackelberg differential gamestochastic filteringstochastic linear quadratic optimal control
Linear-quadratic optimal control problems (49N10) Differential games and control (49N70) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic games, stochastic differential games (91A15) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)
Abstract: This paper is concerned with the stochastic linear quadratic Stackelberg differential game with overlapping information, where the diffusion terms contain the control and state variables. Here the term "overlapping" means that there are common part between the follower's and the leader's information, while they have no inclusion relation. Optimal controls of the follower and the leader are obtained by the stochastic maximum principle, the direct calculation of the derivative of the cost functional and stochastic filtering. A new system of Riccati equations is introduced to represent the state estimate feedback of the Stackelberg equilibrium strategy. A special solvable case is then studied and is applied to the continuous-time principal-agent problem.
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Cited in
(15)- A Stackelberg game of backward stochastic differential equations with partial information
- A linear quadratic stochastic Stackelberg differential game with time delay
- Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
- A linear-quadratic partially observed Stackelberg stochastic differential game with application
- Linear-Quadratic Gaussian Dynamic Games with a Control-Sharing Information Pattern
- Stackelberg stochastic differential game with asymmetric noisy observations
- Zero-sum stochastic linear-quadratic Stackelberg differential games with jumps
- Optimal linear closed-loop Stackelberg strategy with asymmetric information
- Closed-loop solvability of linear quadratic mean-field type Stackelberg stochastic differential games
- Linear quadratic leader-follower stochastic differential games: closed-loop solvability
- Stackelberg stochastic differential games in feedback information pattern with applications
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- Linear-quadratic stochastic teams and zero-sum differential games for jump-diffusion systems with Markovian-switching coefficients under partial observations
- Leader-follower stochastic differential game with asymmetric information and applications
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